I don't have the book, but wasn't there a male sorcerer in Malekith's inner circle (from before the prophecy) that survived everything Malekith and his sorceress daughters threw at him?
I think Furion is male name: All of the elf character names I can think of (which is far from a comprehensive list) end in a vowel when the character is a female, and in a consonant when it's a male. A lot of major characters have the 'ion' ending, and they are all male.
Morathi
Alarielle
Alitharielle
Yvraine
There are exceptions: Hellebron, for example.
Otoh:
Aenarion, Morellion, Tyrion, Eltharion.
Another reason I associate the 'ion' ending for names with males is Warhammer's Tolkienian inspiration: in Quenya, "ion" is a patronymic suffix meaning "son of". It doesn't make much sense in warhammer, because those are first names, but it's a strong association, to me.
Secondly, if Furion were a woman, she'd be a subordinate to Morathi and a part of the Convents of Sorcery. As a Male, he'd have to be an outsider to the Convents, which makes for an interesting dynamic in my opinion. Someone good enough to survive that long would not bow down easily to Morathi (and she is exactly the kind to make her subordinates grovel beneath her).
Thirdly, It puts the Dark Elves older than Dirt as 2 males and 2 females, which has a pleasing symmetry
